Nonlinearities and interactions between variables: Insights from interpretable machine learning methods for banking regulation (notice n° 1531363)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01688cam a2200181 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20251012014549.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Durand, Pierre |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Nonlinearities and interactions between variables: Insights from interpretable machine learning methods for banking regulation |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2025.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 94 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The aim of this article is to illustrate the usefulness of interpretable machine learning methods in the specific case of banking economics. In particular, we rely on a gradient boosting model to determine the optimal regulatory capital ratio within the framework of prudential banking regulation. To this end, we develop, on the one hand, a classification model whose purpose is to determine the impact of capital ratios on the probability of bank default, and, on the other hand, a regression model aimed at assessing the costs to banks’ performance associated with increased capital requirements. Using various interpretability tools (permutation importance, Shapley values, partial dependence plots, accumulated local effects), we found the following optimal values: 15% for the capital adequacy ratio and 10% for the leverage ratio. The determination of these values relies on highlighting the non-linear effects and interaction effects that characterize the relationships between the various variables studied. |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Le Quang, Gaёtan |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Vialfont, Arnold |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Revue d'économie politique | 134 | 6 | 2025-03-17 | p. 893-922 | 0373-2630 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-revue-deconomie-politique-2024-6-page-893?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-revue-deconomie-politique-2024-6-page-893?lang=en&redirect-ssocas=7080</a> |
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